Cave Gentlemens Club - Dress up. Cave Gentlemens Club isn’t necessarily "formal," per se, but it’s sexy and sleek; this is the kind of place where if you’re dressed like a tool, you’ll stick out like a sore thumb. (Probably more than a sore thumb, actually—those don’t really stand out when you think about it). The point is: it’s a solid place. Bring your A-game.